This article is from the Watercooled VWs General FAQ, by Jan Vandenbrande with numerous contributions by others.
A: The oxygen sensor light is attached to a small odometer which trips a
switch every 30/60k miles. To turn the oxy light off, you have to reset
that odometer. VW has two locations for this unit: Either somewhere along
the speedometer cable, or as part of the instrument cluster.
A2 Jettas & Golfs: Remove the coolant reservoir to locate the box with the
white recessed switch. Push it in far until you hear a satisfying click.
You should only need to push once. The "box" is black, and the speedometer
cable passes through it.
 
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